The outcome distribution for markets expanded meaningfully over the past several sessions. Maybe you noticed.

Just three trading days into August and the month had already lived up to its nefarious reputation.

Monday was a veritable train wreck, starting in Asia and spilling into everywhere and everything, as the fallout from the yen surge / carry unwind and the Sahm trigger / US recession scare roiled assets the world over.

At one juncture, vol-of-vol in the US hit 192, a level witnessed only a handful of times looking back a decade.

The only other instances of >190 VVIX looking back to 2012 were March of 2020 (i.e., the onset of the pandemic), February of 2018 (i.e., “Volmageddon”) and August of 2015 (i.e., in and around the yuan devaluation).

But it’s not just the level of the VVIX that was remarkable. The gauge’s outperformance versus the VIX was just as notable, particularly given that it spoke to the new market zeitgeist where traders worry anything can happen.

In his fourth note in two trading days, Nomura’s Charlie McElligott highlighted the arresting figures below (click to enlarge, as always).

The scatterplot on the left shows you the “new world of wider path probabilities” through the lens of relative VVIX changes. (“Today” was obviously August 5.)

The chart in the middle (showing the spike in put skew) betrayed an “impulsive grab into crash tails,” as Charlie put it.

The scatterplot on the right proxies demand for the put wing which, McElligott marveled, has only seen extremes comparable to Monday on one other occasion: In mid-March of 2020, near the COVID crash lows.